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Business, 04.08.2021 03:10 VonneB1684

A call option with X = $60 on a stock currently priced at S = $64 is selling for $10. Using a volatility estimate of σ = 0.30, you find that N(d1) = 0.7508 and N(d2) = 0.7009. The risk-free interest rate is zero. Is the implied volatility based on the option price more or less than 0.30?

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A call option with X = $60 on a stock currently priced at S = $64 is selling for $10. Using a volati...

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